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U.S. Historical Research Returns as of December 2024
CRSP's Stock and Indexes Legacy Format (FIZ) files were discontinued after the December 2024 data release.
Beginning with the January 2025 data release, we use the new Stock and Indexes Flat File Format 2.0 (CIZ) files to generate US research returns.
Below is the historical data based on the Legacy (FIZ) format.
U.S. Research Returns Data (Downloadable Files)
Changes in CRSP
Data
Fama/French 3 Factors
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Fama/French 3 Factors [Weekly]
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Fama/French 3 Factors [Daily]
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Fama/French 5 Factors (2x3)
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Fama/French 5 Factors (2x3) [Daily]
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Univariate sorts on Size, B/M, OP, and Inv
Portfolios Formed on Size
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Portfolios Formed on Size [ex.Dividends]
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Portfolios Formed on Size [Daily]
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Portfolios Formed on Book-to-Market
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Portfolios Formed on Book-to-Market [ex. Dividends]
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Portfolios Formed on Book-to-Market [Daily]
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Portfolios Formed on Operating Profitability
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Portfolios Formed on Operating Profitability [ex. Dividends]
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Portfolios Formed on Operating Profitability [Daily]
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Portfolios Formed on Investment
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Portfolios Formed on Investment [ex. Dividends]
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Portfolios Formed on Investment [Daily]
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Bivariate sorts on Size, B/M, OP and Inv
6 Portfolios Formed on Size and Book-to-Market (2 x 3)
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6 Portfolios Formed on Size and Book-to-Market (2 x 3) [ex. Dividends]
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6 Portfolios Formed on Size and Book-to-Market (2 x 3) [Weekly]
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6 Portfolios Formed on Size and Book-to-Market (2 x 3) [Daily]
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25 Portfolios Formed on Size and Book-to-Market (5 x 5)
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25 Portfolios Formed on Size and Book-to-Market (5 x 5) [ex. Dividends]
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25 Portfolios Formed on Size and Book-to-Market (5 x 5) [Daily]
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100 Portfolios Formed on Size and Book-to-Market (10 x 10)
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100 Portfolios Formed on Size and Book-to-Market (10 x 10) [ex. Dividends]
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100 Portfolios Formed on Size and Book-to-Market (10 x 10) [Daily]
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6 Portfolios Formed on Size and Operating Profitability (2 x 3)
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6 Portfolios Formed on Size and Operating Profitability (2 x 3) [ex. Dividends]
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6 Portfolios Formed on Size and Operating Profitability (2 x 3) [Daily]
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25 Portfolios Formed on Size and Operating Profitability (5 x 5)
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25 Portfolios Formed on Size and Operating Profitability (5 x 5) [ex. Dividends]
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25 Portfolios Formed on Size and Operating Profitability (5 x 5) [Daily]
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100 Portfolios Formed on Size and Operating Profitability (10 x 10)
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100 Portfolios Formed on Size and Operating Profitability (10 x 10) [ex. Dividends]
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100 Portfolios Formed on Size and Operating Profitability (10 x 10) [Daily]
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6 Portfolios Formed on Size and Investment (2 x 3)
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6 Portfolios Formed on Size and Investment (2 x 3) [ex. Dividends]
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6 Portfolios Formed on Size and Investment (2 x 3) [Daily]
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25 Portfolios Formed on Size and Investment (5 x 5)
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25 Portfolios Formed on Size and Investment (5 x 5) [ex. Dividends]
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25 Portfolios Formed on Size and Investment (5 x 5) [Daily]
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100 Portfolios Formed on Size and Investment (10 x 10)
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100 Portfolios Formed on Size and Investment (10 x 10) [ex. Dividends]
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100 Portfolios Formed on Size and Investment (10 x 10) [Daily]
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25 Portfolios Formed on Book-to-Market and Operating Profitability (5 x 5)
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25 Portfolios Formed on Book-to-Market and Operating Profitability (5 x 5) [ex. Dividends]
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25 Portfolios Formed on Book-to-Market and Operating Profitability (5 x 5) [Daily]
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25 Portfolios Formed on Book-to-Market and Investment (5 x 5)
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25 Portfolios Formed on Book-to-Market and Investment (5 x 5) [ex. Dividends]
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25 Portfolios Formed on Book-to-Market and Investment (5 x 5) [Daily]
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25 Portfolios Formed on Operating Profitability and Investment (5 x 5)
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25 Portfolios Formed on Operating Profitability and Investment (5 x 5) [ex. Dividends]
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25 Portfolios Formed on Operating Profitability and Investment (5 x 5) [Daily]
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Three-way sorts on Size, B/M, OP, and Inv
32 Portfolios Formed on Size, Book-to-Market, and Operating Profitability (2 x 4 x 4)
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32 Portfolios Formed on Size, Book-to-Market, and Operating Profitability (2 x 4 x 4) [ex. Dividends]
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32 Portfolios Formed on Size, Book-to-Market, and Investment (2 x 4 x 4)
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32 Portfolios Formed on Size, Book-to-Market, and Investment (2 x 4 x 4) [ex. Dividends]
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32 Portfolios Formed on Size, Operating Profitability, and Investment (2 x 4 x 4)
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32 Portfolios Formed on Size, Operating Profitability, and Investment (2 x 4 x 4) [ex. Dividends]
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Univariate sorts on E/P, CF/P, and D/P
Portfolios Formed on Earnings/Price
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Portfolios Formed on Earnings/Price [ex. Dividends]
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Portfolios Formed on Cashflow/Price
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Portfolios Formed on Cashflow/Price [ex. Dividends]
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Portfolios Formed on Dividend Yield
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Portfolios Formed on Dividend Yield [ex. Dividends]
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Bivariate sorts on Size, E/P, CF/P, and D/P
6 Portfolios Formed on Size and Earnings/Price
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6 Portfolios Formed on Size and Earnings/Price [ex. Dividends]
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6 Portfolios Formed on Size and Cashflow/Price
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6 Portfolios Formed on Size and Cashflow/Price [ex. Dividends]
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6 Portfolios Formed on Size and Dividend Yield
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6 Portfolios Formed on Size and Dividend Yield [ex. Dividends]
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Sorts involving Prior Returns
Momentum Factor (Mom)
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Momentum Factor (Mom) [Daily]
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6 Portfolios Formed on Size and Momentum (2 x 3)
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6 Portfolios Formed on Size and Momentum (2 x 3) [Daily]
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25 Portfolios Formed on Size and Momentum (5 x 5)
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25 Portfolios Formed on Size and Momentum (5 x 5) [Daily]
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10 Portfolios Formed on Momentum
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10 Portfolios Formed on Momentum [Daily]
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Short-Term Reversal Factor (ST Rev)
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Short-Term Reversal Factor (ST Rev) [Daily]
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6 Portfolios Formed on Size and Short-Term Reversal (2 x 3)
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6 Portfolios Formed on Size and Short-Term Reversal (2 x 3) [Daily]
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25 Portfolios Formed on Size and Short-Term Reversal (5 x 5)
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25 Portfolios Formed on Size and Short-Term Reversal (5 x 5) [Daily]
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10 Portfolios Formed on Short-Term Reversal
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10 Portfolios Formed on Short-Term Reversal [Daily]
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Long-Term Reversal Factor (LT Rev)
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Long-Term Reversal Factor (LT Rev) [Daily]
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6 Portfolios Formed on Size and Long-Term Reversal (2 x 3)
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6 Portfolios Formed on Size and Long-Term Reversal (2 x 3) [Daily]
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25 Portfolios Formed on Size and Long-Term Reversal (5 x 5)
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25 Portfolios Formed on Size and Long-Term Reversal (5 x 5) [Daily]
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10 Portfolios Formed on Long-Term Reversal
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10 Portfolios Formed on Long-Term Reversal [Daily]
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Sorts involving Accruals, Market Beta, Net Share Issues, Daily Variance, and Daily Residual Variance
Portfolios Formed on Accruals
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25 Portfolios Formed on Size and Accruals
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Portfolios Formed on Market Beta
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25 Portfolios Formed on Size and Market Beta
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Portfolios Formed on Net Share Issues
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25 Portfolios Formed on Size and Net Share Issues
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Portfolios Formed on Variance
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25 Portfolios Formed on Size and Variance
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Portfolios Formed on Residual Variance
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25 Portfolios Formed on Size and Residual Variance
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Industry Portfolios
5 Industry Portfolios
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5 Industry Portfolios [ex. Dividends]
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5 Industry Portfolios [Daily]
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10 Industry Portfolios
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10 Industry Portfolios [ex. Dividends]
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10 Industry Portfolios [Daily]
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12 Industry Portfolios
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12 Industry Portfolios [ex. Dividends]
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12 Industry Portfolios [Daily]
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17 Industry Portfolios
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17 Industry Portfolios [ex. Dividends]
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17 Industry Portfolios [Daily]
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30 Industry Portfolios
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30 Industry Portfolios [ex. Dividends]
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30 Industry Portfolios [Daily]
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38 Industry Portfolios
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38 Industry Portfolios [ex. Dividends]
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38 Industry Portfolios [Daily]
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48 Industry Portfolios
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48 Industry Portfolios [ex. Dividends]
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48 Industry Portfolios [Daily]
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49 Industry Portfolios
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49 Industry Portfolios [ex. Dividends]
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49 Industry Portfolios [Daily]
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The momentum and short term reversal portfolios are reconstituted monthly and the other research portfolios are reconstituted annually.
We reconstruct the full history of returns each month when we update the portfolios.
(Historical returns can change, for example, if CRSP revises its database.)
Although the portfolios include all NYSE, AMEX, and NASDAQ firms with the necessary data,
the breakpoints use only NYSE firms. Missing data are
indicated by -99.99 or -999.
In December 2012, we revised the market return used to measure Rm-Rf in the US.
It is now the value-weight return of all CRSP firms incorporated in the US and listed on the NYSE, AMEX, or NASDAQ that have (i) a CRSP share code of 10 or 11 at the beginning of month t,
(ii) good shares and price data at the beginning of t, and (iii) good return data for t. Previously we used the CRSP NYSE/AMEX/NASDAQ Value-Weighted Market Index as the proxy for the market return.
The set of firms in the new series is more consistent with the universe used to compute the other US returns.
In January 2015, CRSP completed an extensive review of their shares outstanding data for 1925-1946.
The file they released in January 2015 (with data through December 2014) incorporates over 4000 changes that affect 400 Permnos.
As a result, many of the returns we report for 1925-1946 change in our January 2015 update and some of the changes are large.
Please see Changes in CRSP
Data for descriptions of data changes by CRSP affecting the data series above.
In May 2015, we made two changes in the way we compute daily portfolio returns so the process is closer to the way we compute monthly portfolio returns. In daily files produced in May 2015 or thereafter, stocks are dropped from a portfolio immediately after their CRSP delist date; in files produced before May 2015, those stocks are held until the portfolio is reconstituted, at the end of June. Also, in daily files produced before May 2015 we exclude a stock from portfolios during any period in which it is missing prices for more than 10 consecutive trading days; in daily files produced in May 2015 and thereafter, we exclude a stock if there is no price for more than 200 consecutive trading days.
Because of changes in the treatment of deferred taxes described in FASB 109,
files produced from August 2016 on no longer add Deferred Taxes and Investment Tax Credit to BE for fiscal years ending in 1993 or later.
In August 2018, we have revised the method for computing Operating Profitability.
We now include minority interest in the denominator, so the operating profitability ratio used to form portfolios in June of year t is annual
revenues minus cost of goods sold, interest expense, and selling, general, and administrative expense divided by the sum of book equity and
minority interest for the last fiscal year ending in t-1.
In September 2020, we removed the adjustment to book equity related to FASB Statement No. 106, Employers' Accounting for Postretirement Benefits Other Than Pensions, which was issued in 1990. This adjustment affects portfolios formed on book-to-market equity and portfolios formed on profitability, which is defined as operating income before depreciation and amortization minus interest expense scaled by book equity.
In September 2021, we transitioned from using our proprietary links between CRSP and Compustat data to those provided by CRSP after examining their consistency.
We also updated the eligible universe through time to apply time-sensitive evaluation of stocks on criteria such as whether they are investment funds.
We now provide historical archives of the US monthly Fama/French 3 factors and 5 factors, as well as the 2x3 bivariate portfolio sorts used to construct the factors for each July data cut. The July cut has data through July and was released in August of that year.
Click here for Variable Definitions
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U.S. Research Breakpoints Data (Downloadable Files)
ME Breakpoints
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BE/ME Breakpoints
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Operating Profitability Breakpoints
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Investment Breakpoints
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E/P Breakpoints
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CF/P Breakpoints
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D/P Breakpoints
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Prior (2-12) Return Breakpoints
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Click here for Variable Definitions
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